The Analysis of Structured Securities (PDF)
Precise Risk Measurement and Capital Allocation
(Sprache: Englisch)
The Analysis of Structured Securities presents the first intellectually defensible framework for systematic assessment of the credit quality of structured securities.
It begins with a detailed description and critique of methods used to rate asset-backed...
It begins with a detailed description and critique of methods used to rate asset-backed...
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The Analysis of Structured Securities presents the first intellectually defensible framework for systematic assessment of the credit quality of structured securities.
It begins with a detailed description and critique of methods used to rate asset-backed securities, collateralized debt obligations and asset-backed commercial paper. The book then proposes a single replacement paradigm capable of granular, dynamic results. It offers extensive guidance on using numerical methods in cash flow modeling, as well as a groundbreaking section on trigger optimization. Casework on applying the method to automobile ABS, CDOs-of-ABS and aircraft-lease securitizations is also presented.
This book is essential reading for practitioners who seek higher precision, efficiency and control in managing their structured exposures.
It begins with a detailed description and critique of methods used to rate asset-backed securities, collateralized debt obligations and asset-backed commercial paper. The book then proposes a single replacement paradigm capable of granular, dynamic results. It offers extensive guidance on using numerical methods in cash flow modeling, as well as a groundbreaking section on trigger optimization. Casework on applying the method to automobile ABS, CDOs-of-ABS and aircraft-lease securitizations is also presented.
This book is essential reading for practitioners who seek higher precision, efficiency and control in managing their structured exposures.
Autoren-Porträt von Sylvain Raynes, Ann Rutledge
Sylvain Raynes and Ann Rutledge are the Founding Principles of R & R Consulting, a structured finance consultancy dedicated to advising issuers, investors, intermediaries, non-profit corporations, and regulatory bodies in credit risk management and structured financial techniques using fine-grained analytical methods. In July 2001, their paper "Measures of Credit Losses: A Precise Method for Calculating Risk-adjusted Return on capital" was selected for presentation by the IAFE.
Bibliographische Angaben
- Autoren: Sylvain Raynes , Ann Rutledge
- 2003, Englisch
- Verlag: Oxford University Press
- ISBN-10: 0198034830
- ISBN-13: 9780198034834
- Erscheinungsdatum: 25.09.2003
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Größe: 2.49 MB
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Englisch
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